Author: Johan KnifPublisher:
ISBN: 9789516531963
Category : Economics
Languages : en
Pages : 167
Book Description
Parameter Variability in the Single Factor Market Model
Author: Johan KnifPublisher:
ISBN: 9789516531963
Category : Economics
Languages : en
Pages : 167
Book Description
Parameter Variability in the Single Factor Market Model
Author: Jari-Erik NurmiPublisher:
ISBN: 9789516531529
Category : Fascism
Languages : en
Pages : 0
Book Description
Portfolio Choice Implications of Parameter and Model Uncertainty in Factor Models
Author: Deniz KebabciPublisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
This paper examines the portfolio choice implications of incorporating parameter and model uncertainty in (conditionally) linear factor models using industry portfolios. I examine a CAPM, a linear factor model with different predictor variables (dividend yield, price to book ratio, price to earnings ratio, and price to sales ratio), and a time-varying CAPM. All approaches incorporate parameter uncertainty in a mean-variance framework. I consider a time-varying CAPM with changing conditional variance. It is shown that taking into account the time variation in market betas improves the portfolio performance as measured by the ex-post Sharpe ratio compared to both an unconditional CAPM and a linear factor model with predictor variables. I also show the implications of using a Black-Litterman framework versus using a standard mean-variance approach in the asset allocation step. Black-Litterman framework can be thought as a model averaging approach and thus helps deal with both the parameter and model uncertainty problems. I show that Black-Litterman approach results in portfolios with a higher Sharpe ratio than those obtained by a standard mean-variance framework using a single model or historical averages.
European Equity Markets and Corporate Financial Decisions
Author: John DoukasPublisher: Psychology Press
ISBN: 9781560246626
Category : Business & Economics
Languages : en
Pages : 272
Book Description
European Equity Markets and Corporate Financial Decisions explores the current nature of corporate decisions faced by European financial managers, the highly interdependent financial and economic environment in which they function, and how that environment seeks complete integration with other financial and economic environments. The contributing authors provide a timely core of theoretical and empirical investigations on a set of European equity markets and corporate financial management decisions to give readers a deeper understanding of equity markets in Europe.
International Journal of Forecasting
Author: The Kalman Filter in Finance
Author: C. WellsPublisher: Springer Science & Business Media
ISBN: 940158611X
Category : Business & Economics
Languages : en
Pages : 181
Book Description
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
Handbook of Financial Econometrics
Author: Yacine Ait-SahaliaPublisher: Elsevier
ISBN: 0080929842
Category : Business & Economics
Languages : en
Pages : 809
Book Description
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Commentationes Scientiarum Socialium
Author: Finnish Journal of Business Economics
Author: Publisher:
ISBN:
Category : Managerial economics
Languages : en
Pages : 848
Book Description
Author: Markku Malkamäki